东盟国家货币兑人民币汇率相依性研究——基于Vine Copula模型

A Study on the Dependent Structure of Exchange Rate Between ASEAN Countries’ Currencies and RMB——Based on Vine Copula Model

分析东盟国家汇率市场的相依性对金融监控、风险管理具有重大意义.选取东盟十国货币兑人民币汇率作为样本数据,首先选择合适的GARCH族模型拟合单个汇率市场,继而采用时变Copula模型研究东盟国家汇率市场两两之间的尾部相依性,最后采用Vine-Copula模型研究汇率市场的整体相依性.实证分析表明:对于市场尾部相依性而言,下尾相依性略大于上尾相依性,说明利空消息对东盟汇率市场影响略大于利好消息;对于市场整体相依性而言,R-Vine结构刻画东盟市场的效果略好于D-Vine结构,在R-Vine结构中马来西亚和越南处于根结点中,表明这两个国家在东盟汇率市场中起着举足轻重的作用.

It is of great significance to analyze the dependence of exchange rate market of ASEAN countries for financial monitoring and risk management.This paper selects the exchange rate of ten ASEAN countries to RMB as sample data.Firstly,the appropriate GARCH model is selected to fit the single exchange rate market,then the tail dependence between the two exchange rate markets of ASEAN countries is studied by using the timevarying Copula model.Finally,the vine copula model is used to study the overall dependence of exchange rate market.Empirical analysis shows that the lower tail dependence is slightly greater than the upper and the last,which indicates that the effect of the sky news on ASEAN exchange rate market is slightly greater than the good news;for the overall market dependence,the R-vine structure is better than D-vine structure in describing ASEAN market.Malaysia and vietnam are in the root node of r-vine structure,indicating that these two countries play an important role in the ASEAN exchange rate market.